1. What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion. (2024). Yeh, Zong-Wei ; Lin, Shih-Kuei ; He, Jie-Cao ; Fang, Dong-Jie.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001434.

   Full description at Econpapers || Download paper

2. Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Wang, Shin-Yun ; Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

   Full description at Econpapers || Download paper

3. Jumps in Euribor and the effect of ECB monetary policy announcements. (2016). Shaw, Frances ; Murphy, Finbarr ; Obrien, Fergal G.
   In: Environment Systems and Decisions.
   RePEc:spr:envsyd:v:36:y:2016:i:2:d:10.1007_s10669-016-9600-y.

   Full description at Econpapers || Download paper

4. Modeling the Euro overnight rate. (2007). Nave, Juan ; Benito, Francis ; Leon, Angel.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:14:y:2007:i:5:p:756-782.

   Full description at Econpapers || Download paper

5. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
   In: Working Paper.
   RePEc:qed:wpaper:1188.

   Full description at Econpapers || Download paper

6. MODELING THE EURO OVERNIGHT RATE. (2006). Leon, ngel ; Nave, Juan ; Benito, Francis.
   In: Working Papers. Serie AD.
   RePEc:ivi:wpasad:2006-11.

   Full description at Econpapers || Download paper

1. Amin, K.I. ; Morton, A. Implied volatility functions in arbitrage free term structure models. 1994 Journal of Financial Economics. 35 141-180

2. Bakshi, G. ; Cao, C. ; Chen, Z. Empirical performance of alternative option pricing models. 1997 Journal of Finance. 52 2003-2049

3. Bakshi, G. ; Kapadia, N. ; Madan, D. Stock return characteristics, skew laws, and the differential pricing of individual equity options. 2003 Review of Financial Studies. 16 101-143

4. Balduzzi, P. ; Elton, E.J. ; Green, T.C. Economic news and bond prices: Evidence from the US treasury market. 2001 Journal of Financial and Quantitative Analysis. 36 523-543

5. Bates, D. Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. 1996 Review of Financial Studies. 9 69-107

6. Bates, D. The crash of ’87: Was it expected? The evidence from options markets. 1991 Journal of Finance. 46 1009-1044

7. Björk, T. ; Kabanov, Y. ; Runggaldier, W. Bond market in the presence of marked point processes. 1997 Mathematical Finance. 7 211-239

8. Brémaud, P. Point Processes and Queues, Martingale Dynamics. 1981 Springer-Verlag: Berlin
   Paper not yet in RePEc: Add citation now
   

9. Brace, A. ; Gatarek, D. ; Musiela, M. The market model of interest rate dynamics. 1997 Mathematical Finance. 7 127-155

10. Das, S.R. A direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton model. 1999 Journal of Economic Dynamics and Control. 23 333-369
    Paper not yet in RePEc: Add citation now
    

11. Das, S.R. The surprise element: Jumps in interest rates. 2002 Journal of Econometrics. 106 27-65

12. Das, S.R. ; Sundaram, R.K. Of smiles and smirks: A term structure perspective. 1999 Journal of Financial and Quantitative Analysis. 34 211-239

13. Ederington, L.H. ; Lee, J.H. How markets process information: News releases and volatility. 1993 Journal of Finance. 48 1161-1191

14. Fleming, M.J. ; Remolona, E.M. Price formation and liquidity in the U.S. treasury market: The response to public information. 1999 Journal of Finance. 54 1901-1915

15. Glasserman, P. ; Kou, S.G. The term structure of simple forward rates with jump risk. 2003 Mathematical Finance. 13 383-410

16. Heath, D. ; Jarrow, R.A. ; Morton, A. Bond pricing and the term structure of interest rates: A new methodology for contingent claims. 1992 Econometrica. 60 77-105

17. Jarrow, R.A. ; Madan, D. Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns. 1995 Mathematical Finance. 5 311-336

18. Jones, C.M. ; Lamont, O. ; Lumsdaine, R.L. Macroeconomic news and bond market volatility. 1998 Journal of Financial Economics. 47 315-337

19. Merton, R. Option pricing when underlying stock returns are discontinuous. 1976 Journal of Financial Economics. 3 125-144

20. Musiela, M., Rutkowski, M., 1997. Martingale Methods in Financial Modeling. Springer-Verlag
    Paper not yet in RePEc: Add citation now
    

21. Sandmann, K. ; Sondermann, D. A note on the stability of lognormal interest rate models and the pricing of eurodollar futures. 1997 Mathematical Finance. 7 119-125

1. The stochastic string model as a unifying theory of the term structure of interest rates. (2016). Navas, Javier ; Moreno, Manuel ; Bueno-Guerrero, Alberto.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:461:y:2016:i:c:p:217-237.

   Full description at Econpapers || Download paper

2. Survey sentiment and interest rate option smile. (2015). Kuo, I-Doun, ; Chen, Cathy Yi-Hsuan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:37:y:2015:i:c:p:125-137.

   Full description at Econpapers || Download paper

3. A cyclical square-root model for the term structure of interest rates. (2015). Moreno, Manuel ; Platania, Federico.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:241:y:2015:i:1:p:109-121.

   Full description at Econpapers || Download paper

4. A Path-Independent Humped Volatility Model for Option Pricing. (2013). Costabile, Massimo ; Russo, Emilio.
   In: Applied Mathematical Finance.
   RePEc:taf:apmtfi:v:20:y:2013:i:3:p:191-210.

   Full description at Econpapers || Download paper

5. Pricing and hedging volatility smile under multifactor interest rate models. (2011). I.-Doun Kuo, .
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:36:y:2011:i:1:p:83-104.

   Full description at Econpapers || Download paper

6. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. (2011). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:160:y:2011:i:1:p:48-57.

   Full description at Econpapers || Download paper

7. Pricing caps with HJM models: The benefits of humped volatility. (2010). Falini, Jury .
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:207:y:2010:i:3:p:1358-1367.

   Full description at Econpapers || Download paper

8. Pricing Asian Interest Rate Options with a Three-Factor HJM Model. (2010). Lion, Octavio Bessada ; Machado, Jose Valentim ; Barbedo, Claudio Henrique.
   In: Brazilian Review of Finance.
   RePEc:brf:journl:v:8:y:2010:i:1:p:9-23.

   Full description at Econpapers || Download paper

9. Pricing caps with HJM models: the benefits of humped volatility. (2009). Falini, Jury .
   In: Department of Economics University of Siena.
   RePEc:usi:wpaper:563.

   Full description at Econpapers || Download paper

10. Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options. (2009). Lin, Yueh-Neng ; Kuo, I-Doun, .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:1:p:23-32.

    Full description at Econpapers || Download paper

11. Pricing Asian Interest Rate Options with a Three-Factor HJM Model.. (2009). Vicente, José Valentim ; Octavio Manuel Bessada Lion, ; Jose Valentim Machado Vicente, ; Claudio Henrique da Silveira Barbedo, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:188.

    Full description at Econpapers || Download paper

12. The Term Structure of Interest Rates. (2009). Jarrow, Robert.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:1:y:2009:p:69-96.

    Full description at Econpapers || Download paper

13. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1181.

    Full description at Econpapers || Download paper

14. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-09.

    Full description at Econpapers || Download paper

15. Notes and Comments: An approximation of caplet implied volatilities in Gaussian models. (2006). Herzel, Stefano ; Angelini, Flavio.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:28:y:2006:i:2:p:113-127.

    Full description at Econpapers || Download paper

16. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1188.

    Full description at Econpapers || Download paper

17. Model misspecification analysis for bond options and Markovian hedging strategies. (2006). Gibson, Rajna ; Pistre, Nathalie ; Bossy, Mireille ; Lhabitant, Francois-Serge ; Talay, Denis.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135.

    Full description at Econpapers || Download paper

18. The Multifactor Nature of the Volatility of Futures Markets. (2006). .
    In: Computational Economics.
    RePEc:kap:compec:v:27:y:2006:i:2:p:163-183.

    Full description at Econpapers || Download paper

19. The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach. (2005). To, Thuy-Duong ; Hung, Hing.
    In: Research Paper Series.
    RePEc:uts:rpaper:151.

    Full description at Econpapers || Download paper

20. The Multifactor Nature of the Volatility of the Eurodollar Futures Market. (2005). To, Thuy-Duong.
    In: Research Paper Series.
    RePEc:uts:rpaper:150.

    Full description at Econpapers || Download paper

21. Pricing and hedging interest rate options: Evidence from cap-floor markets. (2005). Gupta, Anurag ; Subrahmanyam, Marti G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:701-733.

    Full description at Econpapers || Download paper

22. The implied jump risk of LIBOR rates. (2005). Warachka, Mitch ; Guan, Lim Kian ; Ting, Christopher.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2503-2522.

    Full description at Econpapers || Download paper

23. A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. (2005). Musti, Silvana ; Clewlow, Les.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:161:y:2005:i:2:p:325-336.

    Full description at Econpapers || Download paper

24. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). To, Thuy-Duong ; Bhar, Ram.
    In: Finance.
    RePEc:wpa:wuwpfi:0409003.

    Full description at Econpapers || Download paper

25. Getting the Most Out of a Mandatory Subordinated Debt Requirement. (2003). Thomson, James ; Haubrich, Joseph ; Fan, Rong ; Ritchken, Peter.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:24:y:2003:i:2:p:149-179.

    Full description at Econpapers || Download paper

26. Fixed-income pricing. (2003). Dai, Qiang ; SINGLETON, KENNETH J..
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-20.

    Full description at Econpapers || Download paper

27. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. (2003). Melenberg, Bertrand ; Driessen, Joost ; Klaassen, Pieter.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:03:p:635-672_00.

    Full description at Econpapers || Download paper

28. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). To, Thuy Duong ; Bhar, Ram.
    In: Research Paper Series.
    RePEc:uts:rpaper:80.

    Full description at Econpapers || Download paper

29. Getting the most out of a mandatory subordinated debt requirement. (2002). Thomson, James ; Haubrich, Joseph ; Fan, Rong ; Ritchken, Peter.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0214.

    Full description at Econpapers || Download paper

30. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

    Full description at Econpapers || Download paper

31. A Quantum Field Theory Term Structure Model Applied to Hedging. (2002). Warachka, Mitch ; Srikant, Marakani ; Baaquie, Belal E..
    In: Papers.
    RePEc:arx:papers:cond-mat/0206457.

    Full description at Econpapers || Download paper

32. A family of humped volatility models. (2001). Fabio Mercurio, Juan M. Moraleda, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:2:p:93-116.

    Full description at Econpapers || Download paper

33. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis. (2001). Pelsser, Antoon ; Driessen, Joost ; de Jong, Frank.
    In: Review of Finance.
    RePEc:oup:revfin:v:5:y:2001:i:3:p:201-237..

    Full description at Econpapers || Download paper

34. On optimal portfolio choice under stochastic interest rates. (2001). lioui, abraham ; Poncet, Patrice.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:11:p:1841-1865.

    Full description at Econpapers || Download paper

35. RECOVERING LOCAL VOLATILITY FUNCTIONS OF FORWARD LIBOR RATES. (2000). Kuan, Grace.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:255.

    Full description at Econpapers || Download paper

36. Interest rate option pricing with volatility humps. (2000). Ritchken, Peter ; Chuang, Iyuan .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262.

    Full description at Econpapers || Download paper

37. Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.. (2000). Hansen, Charlotte ; Christiansen, Charlotte.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2000_001.

    Full description at Econpapers || Download paper

38. An analytically tractable interest rate model with humped volatility. (2000). Moraleda, J. M. ; Mercurio, F..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:120:y:2000:i:1:p:205-214.

    Full description at Econpapers || Download paper

39. Volatility forecasting in the framework of the option expiry cycle. (1999). Buckle, Mike ; ap Gwilym, Owain ; Owain Ap Gwilym, Mike Buckle, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:1:p:73-94.

    Full description at Econpapers || Download paper

40. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:76.

    Full description at Econpapers || Download paper

41. Currency risk hedging: Futures vs. forward. (1998). lioui, abraham.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:1:p:61-81.

    Full description at Econpapers || Download paper

42. Transformation of Heath?Jarrow?Morton models to Markovian systems. (1997). .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:3:y:1997:i:1:p:1-26.

    Full description at Econpapers || Download paper

43. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (1997). Lopez, Jose ; Walter, Christian.
    In: Research Paper.
    RePEc:fip:fednrp:9730.

    Full description at Econpapers || Download paper

44. A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models. (1997). Sim, Ah Boon, ; Raj, Mahendra ; Thurston, David C..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:49:y:1997:i:2:p:169-192.

    Full description at Econpapers || Download paper

45. Pricing American interest rate claims with humped volatility models. (1997). Vorst, Ton ; Vorst, Ton C. F., ; Moraleda, Juan M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:8:p:1131-1157.

    Full description at Econpapers || Download paper

46. The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market. (1996). Vorst, Ton ; Moraleda, Juan M..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19960170.

    Full description at Econpapers || Download paper

47. A Family of Humped Volatility Structures. (1996). Moraleda, Juan M. ; Mercurio, Fabio.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19960169.

    Full description at Econpapers || Download paper

48. Options and volatility. (1996). Nandi, Saikat ; Abken, Peter A..
    In: Economic Review.
    RePEc:fip:fedaer:y:1996:i:dec:p:21-35:n:v.81no3-6.

    Full description at Econpapers || Download paper

49. Transformation of Heath-Jarrow-Morton Models to Markovian Systems. (1995). Bhar, Ram.
    In: Working Paper Series.
    RePEc:uts:wpaper:53.

    Full description at Econpapers || Download paper

50. Empirical tests of two state-variable HJM models. (1995). Bliss, Robert R. ; Ritchken, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-13.

    Full description at Econpapers || Download paper

Report date: 2025-09-20 20:14:41 || Missing content? Let us know